Books

The Code Book by
Simon Singh - If you're completely new to cryptography, this is an excellent
starter book. It gives a good overview of cryptography from ancient times until
today, and is an interesting read.

Elementary Cryptanalysis - Helen Fouché Gaines - Written in 1939, this book (also published under the title Cryptanalysis - a study of ciphers and their solutions) is considered one of the classics. No cryptanalytic
library should be without it.

The Codebreakers - David Kahn - A well-researched tome written
by one of the editors of the Cryptologia journal.

Applied Cryptography - Bruce Schneier is one of the most
famous names in modern cryptography. He also publishes a (free) monthly
electronic newsletter called Crypto-Gram
which is well worth subscribing to.

Practical Cryptography - Niels Ferguson & Bruce Schneier

Military Cryptanalysis, Part I, Monoalphabetic Substitution Systems
- William F. Friedman is arguably one of the most famous cryptanalysts in
history.

Military Cryptanalysis: Transposition and Fractionating Systems
(Cryptographic Series , No 61, Part 4) - Friedman

Handbook of Applied Cryptography - Menezes, Oorschot, Vanstone - If you're interested in the hardcore math of the modern algorithms, this is one of the top-recommended books around for current high-tech crypto systems. Chapters are also available for free download here.

(2/20/2006) Though I do not put my own book in the same class as the above titles, I feel that it would be an inappropriate omission if I did not at least mention it here:The Mammoth Book of Secret Code Puzzles - Elonka Dunin, 2006 - A collection of several hundred cryptographic puzzles, along with basic explanations of several cryptographic techniques, and solving tips.